Areski COUSIN
Areski COUSIN
Professor, University of Strasbourg, France
Adresse e-mail validée de unistra.fr - Page d'accueil
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Hedging default risks of CDOs in Markovian contagion models
JP Laurent, A Cousin, JD Fermanian
Quantitative Finance 11 (12), 1773-1791, 2011
862011
On multivariate extensions of value-at-risk
A Cousin, E Di Bernardino
Journal of multivariate analysis 119, 32-46, 2013
722013
Shapley effects for sensitivity analysis with correlated inputs: comparisons with Sobol'indices, numerical estimation and applications
B Iooss, C Prieur
International Journal for Uncertainty Quantification 9 (5), 2019
522019
Dynamic hedging of portfolio credit risk in a Markov copula model
TR Bielecki, A Cousin, S Crépey, A Herbertsson
Journal of Optimization Theory and Applications 161 (1), 90-102, 2014
422014
On multivariate extensions of conditional-tail-expectation
A Cousin, E Di Bernardino
Insurance: Mathematics and Economics 55, 272-282, 2014
402014
Kriging of financial term-structures
A Cousin, H Maatouk, D Rullière
European Journal of Operational Research 255 (2), 631-648, 2016
352016
Hedging CDO tranches in a Markovian environment
A Cousin, M Jeanblanc, JP Laurent
Paris-Princeton Lectures on Mathematical Finance 2010, 1-61, 2011
282011
An overview of factor models for pricing CDO tranches
A Cousin, JP Laurent
Frontiers In Quantitative Finance, Ed. R. Cont, Wiley Finance, 2008
272008
Comparison results for exchangeable credit risk portfolios
A Cousin, JP Laurent
Insurance: Mathematics and Economics 42 (3), 1118-1127, 2008
262008
A bottom-up dynamic model of portfolio credit risk with stochastic intensities and random recoveries
TR Bielecki, A Cousin, S Crépey, A Herbertsson
Communications in Statistics-Theory and Methods 43 (7), 1362-1389, 2014
182014
A bottom-up dynamic model of portfolio credit risk. Part I: Markov copula perspective
TR Bielecki, A Cousin, S Crépey, A Herbertsson
2012 Recent Advances in Financial Engineering: Proceedings of the …, 2014
182014
Delta-hedging correlation risk?
A Cousin, S Crépey, YH Kan
Review of Derivatives Research 15 (1), 25-56, 2012
162012
An extension of Davis and Lo's contagion model
A Cousin, D Dorobantu, D Rullière
Quantitative Finance 13 (3), 407-420, 2013
152013
Adaptive robust control under model uncertainty
TR Bielecki, T Chen, I Cialenco, A Cousin, M Jeanblanc
SIAM Journal on Control and Optimization 57 (2), 925-946, 2019
142019
Hedging issues for CDOs
A Cousin, JP Laurent
The definitive guide to CDOs, 461-480, 2008
112008
Dynamic modeling of portfolio credit risk with common shocks
TR Bielecki, A Cousin, S Crépey, A Herbertsson
Institutionen för nationalekonomi med statistik, Handelshögskolan vid …, 2011
102011
A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part II: Common-Shock Interpretation, Calibration and Hedging issues
TR Bielecki, A Cousin, S Crépey, A Herbertsson
2012 Recent Advances in Financial Engineering: Proceedings of the …, 2014
92014
Comparison results for credit risk portfolios
A Cousin, JP Laurent
Forthcoming in Insurance: Mathematics and Economics, 2007
92007
Pricing and hedging portfolio credit derivatives in a bottom-up model with simultaneous defaults
TR Bielecki, A Cousin, S Crépey, A Herbertsson
Work in Progress, 2011
82011
An overview of factor modeling for CDO pricing
JP Laurent, A Cousin
Frontiers in Quantitative Finance, 185, 2009
82009
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